Big Data and High-Performance Computing for Financial Economics

Toni Whited and Mao Ye, Organizers

July 15, 2023

Parkview Room

Format: 20 minutes for presenter, 15 minutes for discussants, and 10 minutes for questions and answers

Conference Code of Conduct

Friday, July 14
6:30 pm
Group Dinner - Royal Sonesta (Skyline ABC)
Saturday, July 15
8:00 am
Coffee and Pastries
Big Data in Asset Pricing
8:30 am
Joachim Freyberger, University of Bonn
Andreas Neuhierl, Washington University in St Louis
Björn Höppner, University of Bonn
Michael Weber, University of Chicago and NBER

Missing Data in Asset Pricing Panels
Discussant: Svetlana Bryzgalova, London Business School
9:15 am
Preetesh Kantak, Indiana University
Fahiz Baba-Yara, Indiana University
Carter K. Davis, Indiana University
Fotis Grigoris, University of Iowa

Are Uncertain Firms Riskier? (slides)
Discussant: Stephen J. Terry, University of Michigan and NBER
10:00 am
Break
Big Data in Corporate Finance
10:30 am
Mark Jansen, University of Utah
Fabian Nagel, Northwestern University
Constantine Yannelis, University of Cambridge and NBER
Anthony Lee Zhang, University of Chicago

Data and Welfare in Credit Markets
Discussant: Laura Veldkamp, Columbia University and NBER
11:15 am
Laura Blattner, Stanford University
Scott T. Nelson, University of Chicago
Jann Spiess, Stanford University

Unpacking the Black Box: Regulating Algorithmic Decisions
Discussant: Sendhil Mullainathan, University of Chicago and NBER
12:00 pm
Lunch
Big Data in Behavioral Finance
1:00 pm
Azi Ben-Rephael, Rutgers University
Joshua Ronen, New York University
Tavy Ronen, Rutgers University
Mi Zhou, Virginia Commonwealth University

Do Images Provide Relevant Information to Investors? An Exploratory Study
Discussant: Siew Hong Teoh, University of California, Los Angeles
1:45 pm
Qianqian Li, Stanford Graduate School of Business
Edward M. Watts, Yale University
Christina Zhu, University of Pennsylvania

Retail Investors and ESG News
Discussant: Brad Barber, University of California at Davis
2:30 pm
Break
Big Data in Market Microstructure
3:00 pm
Anne Haubo Dyhrberg, Wilfrid Laurier University
Andriy Shkilko, Wilfrid Laurier University
Ingrid M. Werner, Ohio State University

The Retail Execution Quality Landscape
Discussant: S. P. Kothari, Massachusetts Institute of Technology
3:45 pm
Jonathan Brogaard, University of Utah
Dan Li, Chinese University of Hong Kong, Shenzhen
Jeffrey Yang, University of Utah

Does High Frequency Market Manipulation Harm Market Quality?
Discussant: Lawrence Glosten, Columbia University
4:30 pm
Adjourn